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Derivatives > Macaulay Duration

The following information is about Macaulay Duration.

Macaulay Duration Defined

1. A measure of the sensitivity of a financial instrument's value to a change in its yield. Macaulay Duration is an overestimate, and Modified Duration (q.v.) is a more precise measure.
2. The weighted average of time until a financial instrument pays its cash flows. Each weight is proportional to the present value of the associated cash flow.
3. Modified Duration (q.v.), times 1 + y/n , where y is the yield and n is the number of coupon payments per year.

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